Company linkages

Robeco has been a pioneer in the field of quantitative equity and corporate bond selection since the early ‘90s. In 1994 the first stock selection models were used in Robeco equity strategies. After which the first corporate bond selection model was introduced in ’99. Following the success of these models in practice, in 2002 Robeco launched a 100% quantitative equity product line, and started with a pure quantitative product in credits in 2012. This expanded over the years, currently spanning a wide range of investment strategies, with different regional exposures and risk-return characteristics.

In this internship you will be looking at a big network of companies and how these companies interact with each other. Modern financial markets consist of many individual companies that operate from all over the world. In this global economy there are many linkages across firms, e.g. via common suppliers or clients, country or sector exposures etc.. In this project you will focus on these links across companies, from both an equity and bond holder’s perspective. You will explore various ways of unraveling this network using state-of-the art statistical techniques and novel datasets.

The project covers the entire quant model development cycle: conducting a literature review, analyzing the data, programming the back-tests, analyzing the results, discussing results with researchers and portfolio managers, writing a research report and giving a presentation. As with all Super Quant internships, the assignment will be supervised by an experienced empirical researcher of Robeco’s Quantitative Strategies department. Practical feedback will be provided by several equity and credit portfolio managers. Creative, analytic and programming skills are essential in order to successfully complete the project.

Are you interested?

Let us know your motivation and send it together with your CV and list of grades to SQ@robeco.nl.

References

Rapach, Strauss, Tu & Zhou (2015). Industry Interdependencies and Cross-Industry Return Predictability. Working Paper

Baitinger & Papenbrock (2016). Interconnectedness Risk and Active Portfolio Management. Working Paper

Wu (2015). Centrality of the Supply Chain. Working Paper